Exemple #1
0
    def updateTick(self, tick):
        """TICK更新"""
        newMinute = False  # 默认不是新的一分钟

        # 尚未创建对象
        if not self.bar:
            self.bar = VtBarData()
            newMinute = True
        # 新的一分钟
        elif self.bar.datetime.minute != tick.datetime.minute:
            # 生成上一分钟K线的时间戳
            self.bar.datetime = self.bar.datetime.replace(
                second=0, microsecond=0)  # 将秒和微秒设为0
            self.bar.date = self.bar.datetime.strftime('%Y%m%d')
            self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')

            # 推送已经结束的上一分钟K线
            self.onBar(self.bar)

            # 创建新的K线对象
            self.bar = VtBarData()
            newMinute = True

        # 初始化新一分钟的K线数据
        if newMinute:
            self.bar.vtSymbol = tick.vtSymbol
            self.bar.symbol = tick.symbol
            self.bar.exchange = tick.exchange

            self.bar.open = tick.lastPrice
            self.bar.high = tick.lastPrice
            self.bar.low = tick.lastPrice
        # 累加更新老一分钟的K线数据
        else:
            self.bar.high = max(self.bar.high, tick.lastPrice)
            self.bar.low = min(self.bar.low, tick.lastPrice)

        # 通用更新部分
        self.bar.close = tick.lastPrice
        self.bar.datetime = tick.datetime
        self.bar.openInterest = tick.openInterest

        if self.lastTick:
            volumeChange = tick.volume - self.lastTick.volume  # 当前K线内的成交量
            self.bar.volume += max(
                volumeChange, 0)  # 避免夜盘开盘lastTick.volume为昨日收盘数据,导致成交量变化为负的情况

        # 缓存Tick
        self.lastTick = tick
Exemple #2
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    def updateBar(self, bar):
        """1分钟K线更新"""
        # 尚未创建对象
        if not self.xminBar:
            self.xminBar = VtBarData()

            self.xminBar.vtSymbol = bar.vtSymbol
            self.xminBar.symbol = bar.symbol
            self.xminBar.exchange = bar.exchange

            self.xminBar.open = bar.open
            self.xminBar.high = bar.high
            self.xminBar.low = bar.low

            self.xminBar.datetime = bar.datetime  # 以第一根分钟K线的开始时间戳作为X分钟线的时间戳
        # 累加老K线
        else:
            self.xminBar.high = max(self.xminBar.high, bar.high)
            self.xminBar.low = min(self.xminBar.low, bar.low)

        # 通用部分
        self.xminBar.close = bar.close
        self.xminBar.openInterest = bar.openInterest
        self.xminBar.volume += int(bar.volume)

        # X分钟已经走完
        if not (bar.datetime.minute + 1) % self.xmin:  # 可以用X整除
            # 生成上一X分钟K线的时间戳
            self.xminBar.datetime = self.xminBar.datetime.replace(
                second=0, microsecond=0)  # 将秒和微秒设为0
            self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
            self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')

            # 推送
            self.onXminBar(self.xminBar)

            # 清空老K线缓存对象
            self.xminBar = None
Exemple #3
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def loadMcCsv(fileName, dbName, symbol):
    """将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
    import csv

    start = time()
    print(u'开始读取CSV文件%s中的数据插入到%s的%s中' % (fileName, dbName, symbol))

    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'],
                                 globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

    # 读取数据和插入到数据库
    reader = csv.DictReader(open(fileName, 'r'))
    for d in reader:
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d['Open'])
        bar.high = float(d['High'])
        bar.low = float(d['Low'])
        bar.close = float(d['Close'])
        bar.date = datetime.strptime(d['Date'], '%Y-%m-%d').strftime('%Y%m%d')
        bar.time = d['Time']
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
                                         '%Y%m%d %H:%M:%S')
        bar.volume = d['TotalVolume']

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set': bar.__dict__}, upsert=True)
        print(bar.date, bar.time)

    print(u'插入完毕,耗时:%s' % (time() - start))
Exemple #4
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def loadOKEXCsv(fileName, dbName, symbol):
    """将OKEX导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    start = time()
    print(u'开始读取CSV文件%s中的数据插入到%s的%s中' % (fileName, dbName, symbol))

    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'],
                                 globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

    # 读取数据和插入到数据库
    reader = csv.reader(open(fileName, "r"))
    for d in reader:
        if len(d[1]) > 10:
            bar = VtBarData()
            bar.vtSymbol = symbol
            bar.symbol = symbol

            bar.datetime = datetime.strptime(d[1], '%Y-%m-%d %H:%M:%S')
            bar.date = bar.datetime.date().strftime('%Y%m%d')
            bar.time = bar.datetime.time().strftime('%H:%M:%S')

            bar.open = float(d[2])
            bar.high = float(d[3])
            bar.low = float(d[4])
            bar.close = float(d[5])

            bar.volume = float(d[6])
            bar.tobtcvolume = float(d[7])

            flt = {'datetime': bar.datetime}
            collection.update_one(flt, {'$set': bar.__dict__}, upsert=True)
            print('%s \t %s' % (bar.date, bar.time))

    print(u'插入完毕,耗时:%s' % (time() - start))
Exemple #5
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def loadTdxLc1(fileName, dbName, symbol):
    """将通达信导出的lc1格式的历史分钟数据插入到Mongo数据库中"""
    from struct import *

    start = time()

    print(u'开始读取通达信Lc1文件%s中的数据插入到%s的%s中' % (fileName, dbName, symbol))

    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'],
                                 globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

    #读取二进制文件
    ofile = open(fileName, 'rb')
    buf = ofile.read()
    ofile.close()

    num = len(buf)
    no = num / 32
    b = 0
    e = 32
    dl = []
    for i in range(no):
        a = unpack('hhfffffii', buf[b:e])
        b = b + 32
        e = e + 32
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = a[2]
        bar.high = a[3]
        bar.low = a[4]
        bar.close = a[5]
        bar.date = str(int(a[0] / 2048) + 2004) + str(int(
            a[0] % 2048 / 100)).zfill(2) + str(a[0] % 2048 % 100).zfill(2)
        bar.time = str(int(a[1] / 60)).zfill(2) + ':' + str(
            a[1] % 60).zfill(2) + ':00'
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
                                         '%Y%m%d %H:%M:%S')
        bar.volume = a[7]

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set': bar.__dict__}, upsert=True)

    print(u'插入完毕,耗时:%s' % (time() - start))
Exemple #6
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def downloadEquityDailyBarts(self, symbol):
    """
    下载股票的日行情,symbol是股票代码
    """
    print(u'开始下载%s日行情' % symbol)

    # 查询数据库中已有数据的最后日期
    cl = self.dbClient[DAILY_DB_NAME][symbol]
    cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
    if cx.count():
        last = cx[0]
    else:
        last = ''
    # 开始下载数据
    import tushare as ts

    if last:
        start = last['date'][:4] + '-' + last['date'][4:6] + '-' + last[
            'date'][6:]

    data = ts.get_k_data(symbol, start)

    if not data.empty:
        # 创建datetime索引
        self.dbClient[DAILY_DB_NAME][symbol].ensure_index(
            [('datetime', pymongo.ASCENDING)], unique=True)

        for index, d in data.iterrows():
            bar = VtBarData()
            bar.vtSymbol = symbol
            bar.symbol = symbol
            try:
                bar.open = d.get('open')
                bar.high = d.get('high')
                bar.low = d.get('low')
                bar.close = d.get('close')
                bar.date = d.get('date').replace('-', '')
                bar.time = ''
                bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
                bar.volume = d.get('volume')
            except KeyError:
                print(d)

            flt = {'datetime': bar.datetime}
            self.dbClient[DAILY_DB_NAME][symbol].update_one(
                flt, {'$set': bar.__dict__}, upsert=True)

        print(u'%s下载完成' % symbol)
    else:
        print(u'找不到合约%s' % symbol)
Exemple #7
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def loadTdxCsv(fileName, dbName, symbol):
    """将通达信导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    import csv

    start = time()
    date_correct = ""
    print(u'开始读取CSV文件%s中的数据插入到%s的%s中' % (fileName, dbName, symbol))

    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'],
                                 globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

    # 读取数据和插入到数据库
    reader = csv.reader(open(fileName, 'r'))
    for d in reader:
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d[1])
        bar.high = float(d[2])
        bar.low = float(d[3])
        bar.close = float(d[4])
        #通达信的夜盘时间按照新的一天计算,此处将其按照当天日期统计,方便后续查阅
        date_temp, time_temp = d[0].strip(' ').replace('\xef\xbb\xbf',
                                                       '').split('-', 1)
        if time_temp == '15:00':
            date_correct = date_temp
        if time_temp[:
                     2] == "21" or time_temp[:
                                             2] == "22" or time_temp[:
                                                                     2] == "23":
            date_temp = date_correct

        bar.date = datetime.strptime(date_temp, '%Y/%m/%d').strftime('%Y%m%d')
        bar.time = time_temp[:2] + ':' + time_temp[3:5] + ':00'
        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
                                         '%Y%m%d %H:%M:%S')
        bar.volume = d[5]

        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set': bar.__dict__}, upsert=True)

    print(u'插入完毕,耗时:%s' % (time() - start))
Exemple #8
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def loadTbPlusCsv(fileName, dbName, symbol):
    """将TB极速版导出的csv格式的历史分钟数据插入到Mongo数据库中"""
    import csv

    start = time()
    print(u'开始读取CSV文件%s中的数据插入到%s的%s中' % (fileName, dbName, symbol))

    # 锁定集合,并创建索引
    client = pymongo.MongoClient(globalSetting['mongoHost'],
                                 globalSetting['mongoPort'])
    collection = client[dbName][symbol]
    collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)

    # 读取数据和插入到数据库
    reader = csv.reader(open(fileName, 'r'))
    for d in reader:
        bar = VtBarData()
        bar.vtSymbol = symbol
        bar.symbol = symbol
        bar.open = float(d[2])
        bar.high = float(d[3])
        bar.low = float(d[4])
        bar.close = float(d[5])
        bar.date = str(d[0])

        tempstr = str(round(float(d[1]) * 10000)).split(".")[0].zfill(4)
        bar.time = tempstr[:2] + ":" + tempstr[2:4] + ":00"

        bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
                                         '%Y%m%d %H:%M:%S')
        bar.volume = d[6]
        bar.openInterest = d[7]
        flt = {'datetime': bar.datetime}
        collection.update_one(flt, {'$set': bar.__dict__}, upsert=True)
        print(bar.date, bar.time)

    print(u'插入完毕,耗时:%s' % (time() - start))